This Q&A site is about "reasonable business practices". When it comes to brand like HPE, reasonable is to ask vendor about hardware upgrades. You can't just buy and use something which they don't approve.
In HPE case, they actually brand almost all supported hardware themselves. There are a very few parts that aren't branded HPE but can go into HPE server, and when it comes to storage device, it's ubiquitous: if you want to plug SSD or HDD into HPE server, it must have a HPE label and part number.
Sometimes they make it obvious they rebrand someone's other devices; sometimes they aren't. They claim that they do firmware enhancements when they do that, so even if you happen to buy apparently the same hardware elsewhere, it will be still not supported, because it won't have the HPE firmware.
So, staying on topic, you can only use those SSDs, only if they have the HPE label with the product number that also appear in the HCL for your server. I am not sure whether DL360 and DL360p have the same HCL and/or if you just are missing the "p" letter in your description of the server; here's the HCL for HPE DL360p Gen8 (SSDs are listed under "Hard drives").
I don't want to check each part in the list for determining which device they are rebranding, but I've never seen WD SSD in a HPE server, so I doubt you will be able to install those into your server at all. The most close way is to have some external SAS enclosure, plug SSDs into it, also plug a supported SAS HBA with external port into the server where you can connect that box. Not very convenient and it won't go for free.
Also, be extremely careful with buying such things from eBay and so on. We've just had a case here when all HPE-rebranded Samsung SSDs installed in the HPE MSA2xxx storage died one shortly after another (I don't remember model numbers exactly). It happened due to some firmware "bug" (obviously, one of those "enhancements" that HPE made to the firmware), which was long known, but they weren't notifying about it publicly. Only the owners of SSDs who bought it from the HPE-approved sellers and had a running service contract were privately notified and got a chance to update the firwmare timely.